The CookieContainer property is supported by the client HTTP stack, not the browser HTTP stack. The NotImplementedException is thrown if the application does not use the client HTTP stack for the HTTP request and tries to get or set the CookieContainer property.

By default, the browser HTTP stack is used by the HttpWebRequest class. An application can use the client HTTP stack by calling the RegisterPrefix method with the creator parameter set to the value returned by the ClientHttp property.